Hakan Berument, Nükhet Doğan
Abstract
This paper examines the stock market returns and volatility relationship using US daily returns from May 26, 1952 to September 29, 2006. The empirical evidence reported here does not support the proposition that the return-volatility relationship is present and the same for each day of the week.
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This paper examines the stock market returns and volatility relationship using US daily returns from May 26, 1952 to September 29, 2006. The empirical evidence reported here does not support the proposition that the return-volatility relationship is present and the same for each day of the week.
Key concepts: Volatility (finance), Economics, Stock (firearms), Financial economics, Names of the days of the week, Stock market, Volatility risk premium, Volatility swap